Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns

Xiaoling Yu, Kaitian Xiao and Junping Liu

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: In this study, we constructed two pandemic anxiety indexes based on an assumption that people's emotions fluctuate with the COVID-19 reported cases and deaths, to examine the dynamic co-movements between these anxiety indexes and the stock markets in the BRICS and G7 countries. We found that the anxiety indexes are volatile over time but have an overall downtown trend. The correlations between stock market returns and the epidemic anxiety indexes are time varying. We found a common feature across the countries studied, namely that the correlation becomes weaker and has smaller fluctuations after the announcement of the mRNA-based COVID-19 vaccine.

Keywords: Stock market; COVID-19; Pandemic anxiety index; DCC–GARCH; Co-movement (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461232100283X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100283x

DOI: 10.1016/j.frl.2021.102219

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().